Guide: How to create folders for email
You can do this without a special app. In the mailbox, select the message you want to file, then click the blackberry button and choose "file". It'll let you store in another folder under your inbox similar to outlook. Then to look at that folder, go to your inbox, click the blackberry button and choose "view folder" and you can switch to whatever folder you want.
To create a folder, you need to do it in your mail client (gmail, yahoo, exchange - whatever your account is)